Without an allergy (which I think would be unusual for horses since I've seen people giving horses coconut) it won't be really dangerous. Pure oil isn't the best lube though no matter what kind.
If you have a starch, especially corn starch or xantham gum, you can make a powerful emulsifier, mix a little oil into that, and it will all clean away with water. (If you don't know what I'm talking about you mix the powder in with water then heat until thickened, xantham gum pretty much takes a blender or a whole lot of patience to mix since it will polymerize at room temp)
When you do make your own water based lube add a bit of salt until it tastes as salty as tears. Not a huge issue but the rectum can be sensitive to salinity in a minor way.